A stock has an expected return of 6% and an annualized return standard deviation

(i.e., annual volatility) of 14%. Assuming the stock's returns are normally

distributed, and ignoring compounding, what is the stock's 4-year VaR(5%) using a

single-tail test? [Note: you may assume +/- 1.65 standard deviations covers 90% and

+/- 2 standard deviations covers 95% of the full distribution, respectively.]

A. -32%

B. -28%

C. -25%

D. -20.5%